Empirical analyses on offer pricing and spreading of short-term financing bills
The paper analyzes general situation of short-term financial bills on primary market and then it also conducts researches on the offer pricing and issuance premiums influence factors based on characters one-year short-term financing bills and trading data offered in 2007. The paper consideres the issuing providers non-operating factors and financial index when Short-term financing bills are offered in the market, and then brings forward the model of offer pricing, compares the issuance preminums fitting result to actural data offered on primaty market. The test result shows that there is no significant differences, and thats proved the models efficiency. The paper addes liquidity compensate factors which aroused by bond liquidity to liquidity index, and then fits spread on secondary market, the result shows that the short-term financing bills market liqudity negetively correlates to return, and the issuing providers credit ratings contribution to spread reducing with rating increasing.
Short-term financing bill Issuance preminum Credit rating Liquidity
Shao-yan ZHANG
Department of Finance and Economics,ZaoZhuang University,Shandong,277160
国际会议
2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)
北京
英文
25-30
2008-11-10（万方平台首次上网日期，不代表论文的发表时间）